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Yeah probably too many factors to code, yet, dare I say it (LOL),
except for the real-time fundamental information analysis, probably
code-able. But I agree it'd be very difficult and time
consuming task.
Anyway, happy trading... May the trend be with you. :-)
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> Jitu,
> I guess yes, a system in that I do use signals but no in the fact
that I do
> not always take my signals. Example; Perhaps I have a stock that
tends to
> respect raff channels. I hand draw the channel and fit it to the
last trend.
> Could I code a signal that shows a bounce off a line? Perhaps but
does the
> code show the best time frame to draw the study? Does 50 bars work
best now
> and did 50 bars work best 2 years ago. Is a width of .75 best now
and was it
> best 5 years ago? Now I see my stock bouncing off the lower band.
In a
> system perhaps this would be a signal but I notice a stock that is
in the
> same sector is floundering a bit at the open and I know that
another stock
> is announcing earnings after the bell. If that stock tanks it could
perhaps
> bring down the whole sector and my stock as well. Oh and consumer
confidence
> reports today at 10:30 should I buy the open or wait to see the
markets
> reaction to that news?
>
> The point is that I am free to factor in all this information prior
to
> pulling the trigger. In a system, by definition, I am not. Do I
test? Sure I
> may test and optimize the simple StoRSI system that I posted to
find if a:
> the signals hold any promise over time, b: a particular stock
respects the
> signals and c: what settings it has been respecting most lately.
If that
> indicator tests well then I plop it down on a chart as well as other
> indicators that tell me something different. I like SToRSI but I
also like
> DMI to see if the momentum has been consolidating and is now
ramping up as
> well. I use Raff channels daily but also look for flags, pennant and
> triangles. The chart patterns may tell me something about the trader
> psycology currently affecting the stock. A flag or pennant after a
good run
> may be just a pause and an opportunity to get back in or add to a
position
> but what constitutes a "Good run"? For me, at least, there are
simply too
> many variables to factor in to write a system that I could follow.
I stare
> at charts every day, I know a few charts very well. I can "Feel"
when they
> are trying to fool me and I have no clue how to code that
feel...... I am
> not saying this is correct just that it works for me. Many would
find the
> flexibility crushing, find that the alternatives lead to "Paralysis
of
> analysis". To each his own :)
>
> Regards,
> Jayson
> -----Original Message-----
> From: jtelang [mailto:jtelang@x...]
> Sent: Tuesday, November 25, 2003 10:11 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] StoRSI... was Re: Robustness
>
>
> All 3 answers to my question (by you, Graham, and Yuki) sound
> similar... But what I feel is that although you don't like to
> call it system trading, it's still a "system", no? It's just
> in your mind, and may be dynamic.
>
> So couple of follow-up q's... Do you not backtest, period?
> Do you not convert all your thoughts into system (code) and
> backtest it because you find it hard to program, or is it because
> there're just too many different plays you make in the market
> (based on it's state) and those plays keep constantly evolving
> year after year? WRT latter part of the question, for example,
> did you make any plays this year that were sort of "brand new",
> which you had never made before? I realize your state being "I do
> this daily without any system and consistently make good money,
> so why bother", but it seems to me that backtesting a new thought
> or a style based on certain condition would always be a better
> approach, especially if you can find those patterns in the past.
>
> BTW, I'm not saying one is better than the other. I personally
> just don't have a choice since I'm fairly new to active trading.
> And given my programming background, it just leaves me no choice
> but to test an idea out first... Perhaps with experience that
> will change, but right now that sounds like a safer approach to
> avoid getting busted in the game. :-)
>
> Jitu
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> > Jitu,
> >
> > The shear volume of posts here promoting the need to test over
> thousands of
> > stocks, versus test over a select few stocks, test in and out of
> sample,
> > test optimized versus non optimized, test step forward versus
recent
> > horizon, Test 10 years of data versus a few, not to mention the
> thousands
> > of posts promoting this metric versus that metric as being the
> important
> > things to look at and the double edged sword of Optimized versus
> curve
> > fitting lead me to believe there is no true way to estimate with
> confidence
> > any of it going forward, We can however determine what has
occurred
> in the
> > past, and in theory we can learn from the past...
> >
> > I do not attempt to estimate a max system % DD for next year
> because I do
> > not know what the market will be doing next year. If it trends I
> will play
> > stocks one way if it consolidates I will play them another. At any
> given
> > point in time I may have an opinion of the state of the market and
> of the
> > stocks I prefer to trade but I may just as likely have no opinion.
> When I
> > feel confident in my opinion I trade, when I am confused I sit on
> the side.
> > I limit my losses by cutting them short when they go against me
> early in the
> > trade. I leave money on the table sometimes by doing this but I
> sleep well
> > because of it. In my heart of hearts I know I could never follow a
> system.
> > If my testing shows I will make oodles of money in the long run
but
> I have
> > to sit through a scary DD in theory I can follow it but in
practice
> I know
> > if I am in a $20,000 position that is 15% in the crapper I will
> bail and I
> > know that even if the system says I will not suffer more than X
> number of
> > losses in a row that I will hesitate to plunk down another 20k on
> the next
> > signal. I will never take all the signals and so all my testing is
> for
> > naught because the big trade that made the difference will
> undoubtedly be
> > the "One that got away"
> >
> > If system trading suites you then great. I wish you the very
> best......It
> > scares the living bejesus out of me.
> >
> > Regards,
> > Jayson
> > -----Original Message-----
> > From: jtelang [mailto:jtelang@x...]
> > Sent: Monday, November 24, 2003 11:30 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] StoRSI... was Re: Robustness
> >
> >
> > Hi Jayson,
> >
> > May I ask a potentially controversial question without
> > offending you? I'm always mystified by the confidence
> > level of you discretionary traders... How exactly do
> > you guys estimate your Max System % DD for next year?
> > Is it purely based on what you've been experiencing
> > over last few years?
> >
> > Jitu
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> > > John,
> > > You are asking the wrong guy. I do not trade systems, I trade
> > stocks. I find
> > > some markets behave better using various indicators at given
> > periods of
> > > time. I am a discretionary trader who has yet to find any
> > semblance of a
> > > system that I would feel comfortable trading real money on.....
> > which is not
> > > to say that you or others have.
> > >
> > > Regards,
> > > Jayson
> > > -----Original Message-----
> > > From: john gibb [mailto:jgibb1@x...]
> > > Sent: Monday, November 24, 2003 8:08 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: Re: [amibroker] StoRSI... was Re: Robustness
> > >
> > >
> > > thanks for the feedback, Jayson.
> > >
> > > What are the bare minimum requirements for a 'system', in your
> view?
> > >
> > > -john
> > > ----- Original Message -----
> > > From: Jayson
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Monday, November 24, 2003 4:40 PM
> > > Subject: RE: [amibroker] StoRSI... was Re: Robustness
> > >
> > >
> > > No apology needed...it is not a system at all... but an
> indicator
> > that I
> > > routinely use (as well as others) to help me determine entry and
> > exit points
> > >
> > > Regards,
> > > Jayson
> > > -----Original Message-----
> > > From: john gibb [mailto:jgibb1@x...]
> > > Sent: Monday, November 24, 2003 6:56 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: Re: [amibroker] StoRSI... was Re: Robustness
> > >
> > >
> > > Hi Phsst,
> > >
> > > this helps; thanks...
> > >
> > > using a large number of issues makes sense for your testing
> > because I
> > > assume
> > > you would consider trading any of those...
> > >
> > > i'm just looking for a sensible approach to evaluating systems
> > both for a)
> > > optionable stocks/indices and b) QQQ
> > >
> > > so far I conclude that, unfortunately, they are probably going
> to
> > be
> > > different systems
> > >
> > > For example, my first reaction to Jayson's system (using the
> QQQs
> > from
> > > their
> > > inception in 1999 to date is forget it) (no offense,
Jayson :) )
> > due to
> > > the
> > > negative
> > > 'return on account'. But using my 2000 or so optionables, I
got
> a
> > small
> > > positive
> > > 'return on account'.
> > >
> > > What do you use, if not 'return on account', as a first-pass
> > evaluator?
> > >
> > > thanks again,
> > >
> > > -john
> > >
> > > ----- Original Message -----
> > > From: "Phsst" <phsst@xxxx>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Monday, November 24, 2003 10:43 AM
> > > Subject: [amibroker] StoRSI... was Re: Robustness
> > >
> > >
> > > > John,
> > > >
> > > > As I recall, Anthony's system focused upon QQQ test results,
> > the same
> > > > as Dave's.
> > > >
> > > > I failed to qualify my post with the caveat that I don't
> > restrict my
> > > > backtests to only one stock (I know that several folks do,
but
> > I just
> > > > don't trust the validity of test results that are so limited
> in
> > scope).
> > > >
> > > > So if you are trying to compare report-stat thresholds
against
> > the
> > > > QQQ's, then I am not qualified to help you.
> > > >
> > > > So my recommendation for looking at Jaysons StoRSI code was
> > based upon
> > > > test results against hundreds or thousands of issues. This
> > makes it
> > > > pretty easy to eyeball the report stats and see if there is
> > anything
> > > > of interest there.
> > > >
> > > > I am not trading the StoRSI system. Rather I am tweaking it
to
> > get a
> > > > feel for how it responds to various filters and conditions.
> Even
> > > > though I have what I consider positive results that were
> > achieved very
> > > > quickly, I want to understand how any potential 'finished
> > product' I
> > > > come up with will react in many situations.
> > > >
> > > > Because of my early positive experience with the indicator,
I
> > thought
> > > > it worth mentioning on the forum.
> > > >
> > > > I don't think this is what you wanted to hear, but I hope it
> > helps.
> > > >
> > > > Regards,
> > > >
> > > > Phsst
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "john gibb" <jgibb1@xxxx>
> > wrote:
> > > > > Hi Phsst,
> > > > >
> > > > > Can you share:
> > > > >
> > > > > a) what report-stat thresholds you looked at to
> > conclude 'it
> > > showed
> > > > > promise'
> > > > > b) any other specific recomendations to make a first-
cut
> > > > evaluation on
> > > > > any proposed system. For example, if I want to quickly
> compare
> > > Anthony's
> > > > > system in Message # 52872
> > > > > with Jayson's)
> > > > > ?
> > > > >
> > > > > thanks
> > > > >
> > > > > -john
> > > > > ----- Original Message -----
> > > > > From: "Phsst" <phsst@xxxx>
> > > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > > Sent: Sunday, November 23, 2003 8:37 PM
> > > > > Subject: [amibroker] StoRSI... was Re: Robustness
> > > > >
> > > > >
> > > > > > Sid, Owen & anyone else who is curious,
> > > > > >
> > > > > > I would suggest that you forget the StoRSI 8 8 3 code
that
> > Dave
> > > > > > posted. (I never saw or heard CedarCreekTrading's
> > recommendations
> > > > > > regarding this trading system).
> > > > > >
> > > > > > Instead, you might want to take a look at the StoRSI
code
> > that
> > > Jayson
> > > > > > provided in Message # 52370.
> > > > > >
> > > > > > Add your trade delays, initial equity, positionsize,
> > positionscore,
> > > > > > other personal preferences for backtesting (including
> > watchlist,
> > > etc.)
> > > > > > and other filters that make sense to you.
> > > > > >
> > > > > > I don't promise anything, but in my backtesting it
showed
> > promise
> > > > > > almost 'out of the box', plus it has the graphic support
> in
> > IB for
> > > > > > fine tuning.
> > > > > >
> > > > > > (Be sure to email me and Jayson if you find the Grail
> <g>).
> > (((( AND
> > > > > > DON'T COME CRABBING IF YOU DON'T FIND THE GRAIL...
> OK? ))))
> > > > > >
> > > > > > And as far as Robustness is concerned... robustness is
in
> > the eyes
> > > of
> > > > > > the beholder! (No more complicated than that)
> > > > > >
> > > > > > Regards,
> > > > > >
> > > > > > Phsst
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, Sidney Kaiser
> > <s9kaiser@xxxx>
> > > wrote:
> > > > > > > Too much tongue in cheek...what are you trying to say
> > here?
> > > > > > > Sid
> > > > > > >
> > > > > > > At 10:32 PM 11/23/2003 -0500, you wrote:
> > > > > > >
> > > > > > > >Sidney Kaiser wrote:
> > > > > > > >
> > > > > > > > > Steve K's system is not a system at all but rather
> an
> > idea
> > > that
> > > > > > needs to
> > > > > > > >be
> > > > > > > > > fleshed out to turn it into a money maker. I
made a
> > few
> > > passes
> > > > > > at it and
> > > > > > > > > never discovered the appropriate additions to turn
> it
> > into a
> > > > > > winner, so I
> > > > > > > > > can understand Dave M's frustration with his
> attempts
> > to wring
> > > > > > some profit
> > > > > > > > > out of the idea.
> > > > > > > >
> > > > > > > >[Keep trying. It's not that hard.]
> > > > > > > >
> > > > > > > >Er, scratch that. It's impossible. Forget you ever
> > read it.
> > > > > > > >
> > > > > > > >Owen Davies
> > > > > > > >
> > > > > > > >
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